Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0272 |
| Annualized Std Dev | 0.1753 |
| Annualized Sharpe (Rf=0%) | -0.1552 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3575.0000 |
| NAs | 1.0000 |
| Minimum | -0.0861 |
| Quartile 1 | -0.0053 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0056 |
| Maximum | 0.0797 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0110 |
| Skewness | -0.1341 |
| Kurtosis | 6.4957 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0079 |
| Gain Deviation | 0.0079 |
| Loss Deviation | 0.0081 |
| Downside Deviation (MAR=210%) | 0.0131 |
| Downside Deviation (Rf=0%) | 0.0079 |
| Downside Deviation (0%) | 0.0079 |
| Maximum Drawdown | 0.6938 |
| Historical VaR (95%) | -0.0162 |
| Historical ES (95%) | -0.0262 |
| Modified VaR (95%) | -0.0172 |
| Modified ES (95%) | -0.0285 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-02-27 | 2020-06-26 | NA | -0.6938 | 3290 | 3106 | NA |
| 2007-02-23 | 2007-05-10 | 2007-06-15 | -0.1011 | 79 | 54 | 25 |
| 2007-06-19 | 2007-08-16 | 2007-09-20 | -0.0906 | 66 | 42 | 24 |
| 2008-01-18 | 2008-01-23 | 2008-02-04 | -0.0856 | 11 | 3 | 8 |
| 2007-09-28 | 2007-10-08 | 2007-11-06 | -0.0725 | 28 | 7 | 21 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | -0.4 | -1.3 | -3.4 | 1.6 | 0.2 | 0.3 | -1.1 | -0.9 | -0.5 | -0.9 | -0.5 | 0 | -6.8 |
| 2008 | 0.7 | -1.7 | 0.7 | -1.8 | -0.1 | 1.5 | -1.6 | -0.5 | -0.7 | -1 | -3.7 | 2.9 | -5.3 |
| 2009 | -0.7 | -1 | -0.9 | 3.2 | 3.5 | 1.1 | 1.5 | -2 | -1.7 | -1.9 | 0.5 | 0.4 | 1.8 |
| 2010 | -0.2 | -1.2 | 0.8 | 0.8 | -0.2 | 0.8 | 1.8 | 1.2 | -3 | -0.8 | 2.2 | 1.6 | 3.7 |
| 2011 | 0.6 | -1 | 0.3 | 1.1 | -1.3 | 1.3 | 0.9 | -1.1 | -3.4 | 0 | -0.3 | 0.4 | -2.7 |
| 2012 | 0.3 | 0.8 | 1.8 | 0.4 | -1.1 | 1.7 | 0.2 | 0 | 0.1 | 0.2 | -0.8 | -0.4 | 3.2 |
| 2013 | -0.6 | -0.5 | -0.2 | -0.6 | 0 | -0.4 | -0.9 | -0.2 | -0.2 | -0.6 | 0.4 | -0.5 | -4.1 |
| 2014 | 1.1 | 0.8 | -0.5 | -0.5 | -1 | -0.5 | -0.7 | 0.2 | 0.3 | -0.2 | 1.2 | -0.8 | -0.6 |
| 2015 | -0.3 | 0.5 | 1.2 | -1.2 | 0.8 | -0.3 | -0.6 | -1.1 | -0.4 | 0.7 | 1.4 | 0.1 | 0.8 |
| 2016 | 0.5 | -0.3 | -0.5 | 1 | 0.7 | -0.4 | -0.2 | 0 | -0.8 | -0.9 | -1.1 | 0.1 | -2 |
| 2017 | 1 | 1.3 | 0.4 | 1.4 | -0.1 | 2.5 | -1.4 | -0.2 | 0.7 | 0 | -0.1 | 0.2 | 5.7 |
| 2018 | 0.9 | 1.5 | 0.6 | 1.2 | -0.4 | 1.5 | -0.5 | 1.2 | 0.8 | 1.2 | 0 | -0.2 | 8.2 |
| 2019 | 0.1 | 0.1 | 0.9 | 0.1 | -0.8 | -0.1 | -1.2 | -0.1 | 0.1 | 0.8 | 0.4 | 0.2 | 0.4 |
| 2020 | -0.6 | -0.7 | -3.1 | 0.3 | 0.1 | 1.3 | 1.6 | 0.5 | -0.6 | 0.1 | -1.1 | 1 | -1.4 |
| 2021 | 0.4 | -0.6 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-01-05 25.0 SPY 141. -0.008 -0.0138 -0.0053 0.0417 0.104 0.250 0.203 GLD 60.2 -0.024 -0.0329
2 2007-01-08 25.0 SPY 141. 0.0046 -0.0072 -0.005 0.0445 0.108 0.254 0.200 GLD 60.5 0.0052 -0.0385
3 2007-01-09 24.7 SPY 141. -0.0008 -0.0039 -0.005 0.0449 0.0983 0.249 0.208 GLD 60.8 0.0061 -0.0373
4 2007-01-10 24.7 SPY 142. 0.0033 0.00120 0.0027 0.0477 0.0992 0.248 0.215 GLD 60.6 -0.0043 -0.0271
5 2007-01-11 25.1 SPY 142. 0.0044 0.0035 0.0052 0.0509 0.103 0.265 0.230 GLD 60.6 0.0007 -0.0165
6 2007-01-12 27.1 SPY 143. 0.0076 0.0192 0.0099 0.0602 0.108 0.265 0.234 GLD 62.2 0.0254 0.0332
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
